All,
I just ran into this as well in a new IDM 7.2 SP9 install with NetWeaver AS JAVA 7.40SR2. You need to set up the technical user with SPML permissions as described in OSS note 1647157.
I used the standard Administrator user at first for the NW AS JAVA initial load which gave me the same error. I guess you can follow the note and add the permissions to the Administrator account, but this is probably what the security people are trying to tell you not to do, by having the SPML turned off now in new NW AS JAVA deliveries, so your best approach is the new technical user as proposed in the note. Once I did this, things we working fine. If the docs on the NW AS JAVA connector don't say anything about the SPML config and OSS note yet I guess I would ask SAP to add. If I just looked right over it, well then at least now we can also find some guidance in the community 
Thanks also to this note in SCN.